Blender won't allow me to select a single bone
After clicking your armature, change to Pose Mode or Edit Mode to select single bones. On the picture on your post, click that menu that says "Weight Paint" to choose a different mode.

Pose mode is for positioning your bones in a way that will position your mesh (or leg in this case).

Edit mode is for positioning the initial rest position of the armature.

To weight paint for a specific bone, (1) change to pose mode, (2) select the bone you want to paint for, (3) select the mesh, (4) change to weight paint mode, (5) start painting. This will only work if the mesh already has a vertex group with the same name as the bone. These groups are automatically generated if you parent the mesh to the armature and choose "With Empty Groups" or "With Automatic Weights" when parenting.

If you need more details on armatures or weight painting, I recommend a tutorial such one of these:


Wiki (skip to skinning section)
Blender Guru
YouTube